Setting up SNMP on a machine so it can be monitored by Zenoss seems to mess me up every time. This time the problem was the -i option of snmpconf. It's advertised to put the configuration file where the SNMP programs will find it, but it doesn't put it at the front of the list of paths where the programs look, at least not on Ubuntu 6.06.
The solution: don't use snmpconf -i. Run snmpconf to set the access. Make sure it matches what you've set up in Zenoss, particularly the version of SNMP and therefore the access model. When you're done, do sudo mv snmpd.conf /etc/snmp/.